AppliedNumeric answer

A buy order for $500$ at a limit of $\$100.02$ meets offers of $200$ at $\$100.00$ , $100$ at $\$100.01$ and $300$ at $\$100.02$ . What is its average fill price?

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Order book engineering: data structures and the operations they serve

Reported in interviews at

Citadel Securities, Hudson River Trading, Jump Trading

A buy order for 500500500 at a limit of $100.02\$100.02$100.02 meets offers of 200200200 at $100.00\$100.00$100.00, 100100100 at $100.01\$100.01$100.01 and 300300300 at $100.02\$100.02$100.02. What is its average fill price?

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A buy order for $500$ at a limit of $\$100.02$ meets offers of $200$ at $\$100.00$ , $100$ at $\$100.01$ and $300$ at $\$100.02$ . What is its average fill price?